Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps

DOI10.1137/S0040585X97T989921zbMath1460.91274arXiv1505.02627OpenAlexW2982476836MaRDI QIDQ5120710

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Publication date: 16 September 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.02627

zbMATH Keywords

stochastic volatilitylimit theoremtransaction costsquantile hedgingsuper-hedgingapproximate hedgingLeland strategyjump models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Valuation of European options with stochastic interest rates and transaction costs ⋮ Hedging Problem for Asian Call Options with Transaction Costs ⋮ Optimal investment and consumption for financial markets with jumps under transaction costs

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